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本文利用沪深300指数样本数据,用高斯核密度法估计了样本的经验分布,证实沪深300指数收益率序列的分布具有超出峰度和偏度,收益率的波动率有聚类特征,采用正态分布拟合沪深300指数收益率序列出现较大偏差。引入L啨vy过程中的Meixner过程对市场进行建模,并对样本数据进行了拟合。实证结果表明:Meixner过程能较好地拟合样本数据的超出峰度、偏度和厚尾现象。
In this paper, we use the sample data of Shanghai and Shenzhen 300 index to estimate the empirical distribution of samples by Gaussian kernel density method. It proves that the distribution of returns series of Shanghai-Shenzhen 300 Index has the characteristics of kurtosis and skewness, Normal distribution fitting Shanghai and Shenzhen 300 index yields a larger deviation. The Meixner process in the introduction of L 啨 vy models the market and fits the sample data. The empirical results show that the Meixner process can well fit the kurtosis, skewness and thick tail phenomena of the sample data.